ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION

We give a condition under which the componentwise stochastic integration with respect to a given R-super-"d"-valued continuous local martingale coincides with the more general vector stochastic integration defined by Jacod (1979). We then provide a result on the equivalence between the vector and the component completeness of a financial market in a special case. Copyright 1994 Blackwell Publishers.

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Year of publication:	1994
Authors:	Chatelain, Michel ; Stricker, Christophe
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 4.1994, 1, p. 57-65
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521967